Asset Selection based on Level-Dependent Utility
Download as PDF
Yang Xu, Mengying Chang, Yulian Fan
Portfolio analysis is one of the classic problems in economics. It is about solving how investors maximize their investment returns or minimize investment risks. Based on the level-dependent utility model, this paper constructs a portfolio model with utility maximization. The differential evolution method is used to solve the model, and the constraint conditions in the model are processed by the penalty function method. The rationality and feasibility of the model are verified by empirical analysis.
Level-dependent utility, differential evolution, penalty function